A couple of clarifying items:
This happens to cities that have been held scores of turns.
It isn't because of AI spells, I can scroll though captured cities and see some have militia and some do not. (As an aside, look through some of your captured cities via the details page and see if there are militia icons in the lower left for all of your captured cities).
Some captured cities produce militia and some do not (perhaps this is a faction or empire issue).
I have posted two other threads that discuss this problem in the general forum (and it does happen to others) and I was told to post it here so SD could clarify if it is by design or a bug.
Cheers